Update2

‘(Sept. 22, 2005) (Various) 'Productivity, Labor & the Business Cycle' FRB St. Louis Review July/Aug. 05 Accardi Luigi 'Ito calculus versus white noise calculus' Abel Symposium Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway Achdou Yves, Olivier Pironneau 'Computational Methods for Option Pricing' 2005 SIAM Press Adams Andrew, Philip Booth, David Bowie, Della Freeth 'Investment Mathematics' Wiley 2003 Airoldi Marco 'A moment expansion approach to option pricing' QF 2/05 Aït-Sahalia Yacine, Per Mykland, Lan Zhang 'How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise' RFS Summer 05 Ait-Sahalia Yacine, Per Mykland, Lan Zhang 'Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise' 5/05 NBER Albanese Claudio, Alexey Kuznetsov 'Transformations of Markov Processes & Classification Scheme for Solvable Driftless Diffusions' Albanese Claudio, Oliver X. Chen 'Discrete credit barrier models' QF 6/05 ALBRECHER H., M. PREDOTA 'Bounds and approximations for discrete Asian options in a variance-gamma model' Grazer Math. Ber. 2002, 345, 35-57. Alexander Carol, Leonardo Noqueira ‘A Taxonomy of Option Pricing Models: Scale Invariant Volatility and Minimum Variance Hedging’ SSRN 8/05 Ali Ashraf, Charles Rajakumar 'The Boundary Element Method' 2004 CRC Press Aliprantis C.D., M. Florenzano, V. F. Martins-da-Rocha, R. Tourky ‘Equilibrium analysis in financial markets with countably many securities’ 9/04 Journal of Mathematical Economics Almendral A., C.W. Oosterlee 'On American options under the Variance Gamma process' Technical Report, Delft University of Technology Almgren Robert, Chee Thum, Emmanuel Hauptmann and Hong Li 'Equity Market Impact' <3/5 power law, transaction costs, large trades> RISK 7/05 Alti Aydogan 'IPO Market Timing' RFS Fall 2005 Amzal Billy, Yonathan Ebguy, Sebastien Roland 'Joint Calibration of Option Pricing Models via Particle Methods' 2005 Anderson Evan, Eric Ghysels, Jennifer Juergens 'Do Heterogeneous Beliefs Matter for Asset Pricing?' RFS Fall 2005 Andreasen Jesper 'Back to the future' <stochastic volatility multi-factor yield curve models, quick calibration/efficient Monte Carlo simulation> RISK 9/05 Andrews Donald W.K. 'Cross-Section Regression with Common Shocks' Econometrica 9/05 Andricopoulos Ari, Martin Widdicks, Peter Duck, David Newton 'Extending Quadrature Methods to Value Multi-Asset & Complex Path Dependent Options' tobe 2005 JFE Arcidiacono Peter 'Affirmative Action in Higher Education: How Do Admission and Financial Aid Rules Affect Future Earnings?' Econometrica 9/05 Athey Susan, Andrew Atkeson, Patrick Kehoe 'The Optimal Degree of Discretion in Monetary Policy' Econometrica 9/05 Atkisnon Kendall, Weimin Han 'Theoretical Numerical Analysis' Springer 2005 Atlan Marc, Boris Leblanc 'Hybrid Equity-Credit Modelling' RISK 8/05 ATTARI Mukarram, ANTONIO S. MELLO, MARTIN E. RUCKES 'Arbitraging Arbitrageurs' JofF 10/05 Avramidis Athanassios, Pierre L'Ecuyer 'Efficient Monte Carlo & Quasi-Monte Carlo Option Pricing Under the Variance-Gamma Model' 8/05 <path dependent, gamma bridge> Awanou Gerard 'Multiscale Asymptotics of Partial Hedging' IMA wp 7/05 Back Kerry 'A Course in Derivative Securities:Introduction to Theory and Computation' Springer Finance 2005

Bahlalia Khaled, Saý¨d Hamadènec, Brahim Mezerdid 'Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient' SP&A 7/05 Baker G., R. Beneder, A. Zilber 'FX Barriers with Smile Dynamics' wp Erasmus U. 2004 Bakshi G., C. Cao 'Risk-Neutral Kurtosis, Jumps, and Option Pricing:Evidence from 100 Most Actviely Traded Firms on the CBOE' 2002 Bali Turan, David Weinbaum 'A comparative study of alternative extreme-value volatility estimators' J. Futures Markets 9/05 Banerjee Priyodorshi 'Information Acquisition Under Uncertainty in Credit Markets' RFS Fall 2005 Bansal Ravi, Robert Dittmar, Christian Lundblad 'Consumption, Dividends, and the Cross Section of Equity Returns' JofF 8/05 Baptista Alexandre 'OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS' MF 10/05 Barndorff-Nielsen Ole 'Volatility and Intermittency' Abel Symposium Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway Barndorff-Nielsen Ole, Neil Shephard 'Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics' 6/05 <non-parametric> Barndorff-Nielsen Ole, S. Thorbjorsen 'The Lévy-Itô decomposition in free probability' Prob. Theory & Related Fields 2/05 Barton D.E., K.E.R. Dennis 'The Conditions under which Gram-Charlier & Edgeworth Curves are Positive Definite & Unimodal' Biometrika 1952 Beattie Christoper, Mark Embree, D.C. Sorensen 'Convergence of Polynomial Restart Krylov Methods for Eigenvalue Computations' SIAM Review 8/05 Beilis A., Jan Dash 'A Multivariated Yield-Curve Lognormal Model' CNRS 1989 Beilis A., Jan Dash 'A Strongly Mean-Reverting Yield Curve Model CNRS 1989 Beja A. 'Capital Markets with Delayed Learning' PhD Stanford 1967 Beja A. 'The Structure of the Cost of Capital under Uncertainity' Review of Economic Studies 1971 Bensoussan Alain, Nizar Touzi, Menaldi Jose Luis 'Penalty approximation and analytical characterization of the problem of super-replication under portfolio constraints' 12/4/04 Benth Fred Espen, Thilo Meyer-Brandis 'The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps' F&S 10/05 Bernard Carole, Olivier Le Courtois, Francois Quittard-Pinon 'A New Procedure for Pricing Parisian Options' J. Derivatives Summer 05 Bernard Carole, Olivier Le Courtois, Francois Quittard-Pinon 'A Study of the Mutual Insuarnce of Bank Deposits' Geveva Risk & Insurance Review Berry Michael, Murray Browne 'Understanding Search Engines:Mathematical Modeling & Text Retrieval' SIAM Press 2005 Betcke Timo, Lloyd Trefethen 'Reviving the Method of Particular Solutions' SIAM Review 8/05 Bhar Ramaprasad, Shigeyuki Hamori 'Empirical Techniques in Finance' Springer 2005 Biagini Sara, Marco Frittelli 'Utility maximization in incomplete markets for unbounded processes' F&S 10/05 Bialkowski Jedrzej, Dobromil Serwa 'Financial contagion, spillovers and causality in the Markov switching framework' QF 2/05 Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'PDE approach to valuation and hedging of credit derivatives' QF 6/05 Bierbrauer Juergen 'Introduction to Coding Theory' 1/05 CRC Press Bierens Herman 'Introduction to the Mathematical & Statistical Foundations of Econometrics' 2005 Cambridge Press BLANCO Roberto, SIMON BRENNAN, IAN W. MARSH 'An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps' JofF 10/05

Bleher Pavel, et al (ed) 'Random Matrix Models & Their Applications' Cambridge Press 2001 Bluhm Christian, Ludger Overbeck 'Co-Monotonic Default Quote Paths for Basket Evaluation' RISK 8/05 Bollen Nicolas P. B., Jeffrey A. Busse 'Short-Term Persistence in Mutual Fund Performance' RFS Summer 05 Bolsinov A.V., A.T. Fomenko 'Integrable Hamiltonian Systems:Geometry, Topology, Classification' 2004 CRC Press Bonneau G., J. Faraut, G. Valent 'Self-Adjoint Extensions of Operators & the Teaching of Quantum Mechanics' Am. J. Physics 2001 Borowiak Dale 'Financial & Actuarial Statistics' 2003 CRC Press Borwein P., T. Erdelyi 'Polynomials & Polynomial Inequalities' Springer 1995 Boyd John 'Hyperasymptotics and the Linear Boundary Layer Problem: Why Asymptotic Series Diverge' SIAM Review 8/05 Brandt Michael, Amit Goyal, Pedro Santa-Clara, Jonathan Stroud 'A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability' RFS Fall 2005 Bris Arturo, Ivo Welch 'The Optimal Concentration of Creditors' JofF 10/05 Broadie Mark, Paul Glasserman, Z. Ha 'Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights' in S. Uryasev (ed) Probabilistic Constrained Optimization:Methodology & Applications Kluwer 2000 Brunner Hermann, Ningning Yan 'Finite element methods for optimal control problems governed by integral equations and integro-differential equations' Numerische Mathematik 7/05 Brunnermeier Markus 'Information Leakage and Market Efficiency' RFS Summer 05 Brunnermeier Markus, Lasse Heje Pedersen 'Predatory Trading' JofF 8/05 Bucur Dorin, Giuseppe Buttazzo 'Variational Methods in Shape Optimization Problems' 2005 Birkhauser Buhler Wofgang, Olaf Korn, Rainer Schobel 'Hedging Long-Term Forwards with ShortTerm Futures: A Two-Regime Approach' Review Deriv. Research 12/04 Busch Lutz-Alexander, Srihari Govindan ‘Robust nonexistence of equilibrium with incomplete markets’ 9/04 Journal of Mathematical Economics Cagnol John 'Control & Boundary Analysis' 3/05 CRC Press CanÉ De Estrada Mariano, Elsa Cortina, Constantino Ferro FontÁn, et al. 'Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis' Review Deriv. Research 6/05 Caputo Michael 'Foundations of Dynamic Economic Analysis:Optimal Control Theory & Applications' Cambridge Press 2005 Carr Peter, Helyette Geman, Dilip Madan, Marc Yor 'Pricing options on realized variance' F&S 10/05 Carrier George, Max Krook, Carl Pearson 'Functions of a Complex Variable:Theory & Technique' 2005 SIAM Press CASASSUS Jaime, PIERRE COLLIN-DUFRESNE 'Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates' JofF 10/05 Chaichian M. 'Path Integrals in Physics: Vol. 1, Stochastic Processes & Quantum Mechanics' Institute of Physics, Bristol 2001 Chang Yan, Douglas McManus 'Does Mortgage Hedging Raise Long-Term Interest Rate Volatility' J. Fixed Income 3/05 Chao John C., Norman Swanson 'Consistent Estimation with a Large Number of Weak Instruments' Econometrica 9/05 Chaudhary Suneal 'American options and the LSM algorithm: quasi-random sequences and Brownian bridges' J. Comp. Finance Summer 05 Chavez-Demoulin V., A.C. Davison, A.J. McNeil 'Estimating value-at-risk: a point process approach' QF 4/05 Cheng Shijun, Venky Nagar, Madhav V. Rajan 'Identifying Control Motives in Managerial Ownership:Evidence from Antitakeover Legislation' RFS Summer 05

Cheridito Patrick, C. Summer 'Utility maximization under increasing risk aversion in one-period models' F&S tobe 2005 Cheridito Patrick, Freddy Delbaen, Michael Kupper 'Coherent and convex monetary risk measures for unbounded cádlág processes' F&S 7/05 Chesher Andrew 'Nonparametric Identification under Discrete Variation' Econometrica 9/05 Chevalier Etienne 'CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND-PAYING STOCK IN A LOCAL VOLATILITY MODEL' MF 7/05 Chick S., P.J. Sanchez, D. Ferrin, D.J. Morrice 'EFFICIENT SIMULATION OF GAMMA AND VARIANCE-GAMMA PROCESSES'portal.acm.org Choe Hyuk, Bong-Chan Kho, René M. Stulz 'Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea' RFS Fall 2005 Choudhury G., D. Lucantoni, W. Whitt 'Multidimensional Transform Inversion with Applications to the Transient M/M/1 Queue' annals of Applied Prob. 1994 Choulli Tahir, Christophe Stricker 'MINIMAL ENTROPYHELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS' MF 7/05 Christie Michael 'Uncertainty Estimation & Porous Media Flows' SIAM News 6/05 Cipra Barry 'A Healthy Kind of Heartburn' SIAM News 9/05 Cipra Barry 'Equation-Free Computing Gets Something from (Almost) Nothing' SIAM News 6/05 Clark Andrew 'The use of Hurst and effective return in investing' QF 2/05 Clark J.M.C., D. Crisan 'On a robust version of the integral representation formula of nonlinear filtering' Prob. Theory & Related Fields 9/05 Cocco João F. 'Portfolio Choice in the Presence of Housing' RFS Summer 05 Cocco João F., Francisco J. Gomes, Pascal J. Maenhout 'Consumption and Portfolio Choice over the Life Cycle' RFS Summer 05 Cohen Henri, Gerhard Frey, et al 'Handbook of Elliptic & Hyperelliptic Curve Cryptography' 7/05 CRC Press Coleman Thomas, Y. Li 'An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds' SIAM J. Optim. 1996 Consiglio Andrea, Valerio Lacagnina, Annalisa Russino 'A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices' QF 2/05 Consul Prem, Felix Famove 'Lagrangian Probability Distributions' 2005 Birkhauser Cont Rama, Ekaterina Voltchkova 'Integro-differential equations for option prices in exponential Lévy models' F&S 7/05 Cooper F., A. Khare, U. Sukhatme 'Sypersymmetry & Quantum Mechanics' Costabile Massimo 'A Combinatorial Approach for Pricing Parisian Options' Decisions in Economics & Finance 2002 Cox Alexander, David Hobson 'Local martingales, bubbles and option prices' F&S 10/05 Cox David, D. Oakes 'Analysis of Survival Data' Chapman & Hall 1984 Cramer H. 'On Some Classes of Series Used Mathematical Statistics' Proc. 6th Scandinavian Congress of Math. 1925 Crassidis John, John Junkins 'Optimal Estimation of Dynamic Systems' 2004 CRC Press Creutz M., L. Jacobs, C. Rebbi 'Monte Carlo Computations in Lattice Gauge Theories' Physics Reports 1983 Da Prato Giuseppe 'Some results on Kolmogorov equations for stochastic PDEs' Abel Symposium Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway Dahlgren M. 'A Continuous Time Model to Price Commodity-Based Swing Options' Review Deriv. Research 6/05 Dai Min, Yue Kuen Kwok 'Valuing employee reload options under the time vesting requirement' QF 2/05 Dana Rose-Anne 'A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS' MF 10/05 Daniluk Andrej, Darius Gatarek 'A fully lognormal Libor market model' RISK 9/05

Danis Michelle, Anthony Pennington 'A Dynamic Look at Subprime Loan Performance' Journal of Fixed Income 6/05 Das Sanmay 'A learning market-maker in the Glosten–Milgrom model' QF 4/05 d'Aspremont Alexandre 'Risk-management methods for the Libor market model using semidefinite programming' J. Comp. Finance Summer 05 DATTA Sudip, MAI ISKANDAR-DATTA, KARTIK RAMAN 'Managerial Stock Ownership and the Maturity Structure of Corporate Debt' JofF 10/05 Delianedis G., Robert Geske 'Credit Risk & Risk Neutral Default Probabilities:Information about Rating Migrations & Defaults' wp UCLA 1998 Derman Emmanuel, P. Karasinski, J.S. Wecker 'Understanding Exchange Rate Contracts in Foreign Stock Investments' Goldman Sachs 1990 Dessein Wouter 'Information and Control in Ventures and Alliances' JofF 10/05 Detemple Jerome, Marcel Rindisbacher 'CLOSED-FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS' MF 10/05 Detemple Jerome, René Garcia, Marcel Rindisbacher 'Representation formulas for Malliavin derivatives of diffusion processes' F&S 7/05 Detlefsen Kai, Giacomo Scandolo 'Conditional and dynamic convex risk measures' F&S 10/05 Di Graziano Giuseppe , L.C.G. Rogers 'A new approach to the modelling and pricing of correlation credit derivatives' 6/29/05 Dierckx P. 'Curve & Surface Fitting with Splines' Oxford 1993 Dittrick W., M. Reuter 'Classical and Quantum Dynamics:From Classical Paths to Path Integrals' Springer 1994 Doney R.A., R.A. Maller 'Passage times of random walks and Lévy processes across power law boundaries' Prob. Theory & Related Fields 9/05 Doss Halim 'Liens Entre Equaitons Differentielles Stochastiques et Ordinaires' Ann. l'Institut Henri Poincare 1977 Duck Peter, David Newton, Martin Widdicks, Yan Leung 'Enhancing the Accuracy of Pricing American and Bermudan Options' J. Derivatives Summer 05 Duffee Gregory 'Time Variation in the Covariance between Stock Returns and Consumption Growth' JofF 8/05 Duncan T.E., B. Maslowski, B. Pasik-Duncan 'Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise' SP&A 8/05 Dungey Mardi, Renée Fry, Brenda González-Hermosillo, Vance L. Martin 'Empirical modelling of contagion: a review of methodologies' QF 2/05 Dunis Christian (ed) 'Advances in Quantitative Asset Management' Kluwer 2000 DURHAM Gregory R., MICHAEL G. HERTZEL, J. SPENCER MARTIN 'The Market Impact of Trends and Sequences in Performance: New Evidence' JofF 10/05 Dybvig Phillip, J. Ingersoll, Steven Ross 'Do Interest Rates Converge?' wp Yale 1985 Dynkin Eugene 'An application of probability to nonlinear analysis' Abel Symposium Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway Eberlein Ernst, Fehmi Ozkan 'The Lévy LIBOR model' F&S 7/05 Edstrom Per 'A Fast and Stable Solution Method for the Radiative Transfer Problem' SIAM Review 8/05 Egli Christian 'Feynman Path Integrals in Quantum Mechanics' 10/04 Ehrenstein G., F. Westerhoff, D. Stauffer 'Tobin tax and market depth' QF 4/05 Elliott Robert, John Van Der Hoek, William P. Malcolm 'Pairs trading' QF 6/05 Embrechts Paul, G. Puccetti 'Bounds for functions of dependent risks' F&S tobe 2005 Esmailzadeh R. 'Path-Dependent Options' Morgan Stanley 1995 Espen Benth Fred, T. Meyer-Brandis 'The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps' F&S tobe 2005 Esposito M. 'Valutazione di Opzioni Su Medie Artimetiche Discrete: una Soluzione in Forma (Quasi) Chiusa' Capital Market Notes 1997 Banca Commericale Italiana

Eyster Erik, Matthew Rabin 'Cursed Equilibrium' Econometrica 9/05 Fabozzi Frank, Lionel Martellini, Philippe Priaulet 'Predictability in the Shape of the Term Structure of Interest Rates' Journal of Fixed Income 6/05 Fackler Paul 'A Collocation Approach to Solving Riccati Equations Arising in Finance' 6/2000 <system of ODEs, pricing models assiciated with affine diffusions> Fackler Paul 'Moments of Affine Diffusions' 6/2000 Fackler Paul 'Multi-factor Option Pricing' 6/2000 <European option, spot goods, bonds, futures, bond futures> Fackler Paul 'Specification Issues for Affine Diffusions' 6/2000 Fackler Paul, Matthew Roberts 'A Term Structure Model for Agricultural Futures' 8/1999 <Schwartz's term structure model, seasonality, convenience yield> Faulhaber Oliver 'Analytic Method for Pricing Double Barrier Options in the Presence of Stochastic Volatility' 7/02 FERNANDO Chitru S., VLADIMIR A. GATCHEV, PAUL A. SPINDT 'Wanna Dance? How Firms and Underwriters Choose Each Other' JofF 10/05 Ferrari Patrik, Herbert Spohn 'A determinantal formula for the GOE Tracy-Widom distribution' 5/05 Feynman Richard 'Space-Time Approach to Non-Relativistic Quantum Mechanics' Rev.Mod. Phys 20 (1948) Feynman Richard 'Statistical Mechanics:A Set of Lectures' McGraw Hill 1965 Feynman Richard, A.R. Hibbs 'Quantum Mechanics & Path Integrals' McGraw Hill 1965 Fink Jason, Kristin Fink, Stephen Lange 'The use of term structure information in the hedging of mortgage-backed securities' J. Futures Markets 7/05 Fitz Peter, Jim Gatheral 'Valuation of Volatility Derivatives as an Inverse Problem' 5/04 Föllmer Hans 'Stochastic Analysis of Financial Risk' Abel Symposium Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway Francq Christian, Jean-Michel Zakoý¨an 'The L2-structures of standard and switching-regime GARCH models' SP&A in press 2005 Freixas Xavier, Cornelia Holthausen 'Interbank Market Integration under Asymmetric Information' RFS Summer 05 Friedman Milton, Leonard Savage 'Utility Analysis of Choices Involving Risk' in Archer & D'Ambrosio 'Theory of Business Finance:Readings Frye Jon 'Not a Stock Answer' <default correlations> RISK 8/05 Fusai G., I.D. Abrahams, C. Sgarra 'An Exact Analytical Solution for Discrete Barrier Options' wp 2004 Fusai G., M.C. Recchioni 'Analysis of Quadrature Methods for Pricing Discrete Barrier Options' to be J. Econ. Dynamic. Control 2005 Gajdos Thibault, Jean-Marc Tallon, Jean-Christophe Vergnaud ‘ Decision making with imprecise probabilistic information’ 9/04 Journal of Mathematical Economics Gardner Martin 'Is it Possible to Visualize a 4-D Figure' SA 11/66 Garrett Paul, Daniel Lieman 'Public-Key Cryptography' AMS 2005 Gasbarra D., T. Sottinen, E. Valkeila 'Gaussian bridges' 2004 HUT, Insititute of Mathematics Gavin William, Benjamin Keen, Michael Pakko 'The Monetary Instrument Matters' FRB St. Louis Review Sept/Oct 2005 Ghigliazza R.M., R. Altendorfer, P. Holmes, D. Koditschek 'A Simply Stabilized Running Model' SIAM Review 8/05 Ghirardi Gian Carlo 'Sneaking a Look at God's Cards:Unraveling the Mysteries of Quantum Mechanics' Princeton 2004

Giampieri Giacomo, Mark Davis, Martin Crowder 'Analysis of default data using hidden Markov models' QF 2/05 Gidas Basilis, Alejandro Murua 'Optimal transformations for prediction in continuous-time stochastic processes: finite past and future' Prob. Theory & Related Fields 4/05 Gil-Alana 'MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS' IJT&AF 9/05 Giles David 'Computer-Aided Econometrics' 2003 CRC Press Gilles Daniel, Nathan Joseph, David Bree 'Stochastic volatility and the goodnessof-fit of the Heston model' QF 4/05 Glambos Janos, Italo Simonelli 'Products of Random Variables' 1/05 CRC Press Glot Pierre 'Implied Volatility Indexes and Daily Value at Risk Models' J. Derivatives Summer 05 Gobet Emmanuel, Jean-Philippe Lemor, Warin Xavier 'A REGRESSION-BASED MONTE-CARLO METHOD TO SOLVE BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS' tobe Annals of Applied Prob. 2005, <SDE> 5/2004 Goettler, Ronald, CHRISTINE A. PARLOUR, UDAY RAJAN 'Equilibrium in a Dynamic Limit Order Market' JofF 10/05 Gomes Armando 'Multilateral Contracting with Externalities' Econometrica 7/05 Gray Robert, Lee Davisson 'An Introduction to Statistical Signal Processing' Cambridge Grorud Alex, Monique Pontier 'FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS' IJT&AF 9/05 Grosche C. 'An Introduction into the Feynman Path Integral' hep-th/9302097 Grosche C. 'The General Besselian & Legendrain Path Integrals' J. Phys. A. 1996 Gunzburger Max, Karen Wilcox 'Reduced-Order Models of Large-Scale Computational Systems' SIAM News 6/05 Hafner Christian 'Durations, volume and the prediction of financial returns in transaction time' QF 4/05 Hamadene S., M. Hassani 'BSDEs with two reflecting barriers : the general result' Prob. Theory & Related Fields 6/05 Hamida Sana Ben, Rama Cont 'Recovering volatility from option prices by evolutionary optimization' J. Comp. Finance Summer 05 Hansen Eldon 'Global Optimization Using Interval Analysis' 2004 CRC Press Harley P.M. 'Pricing Parisian Options by Laplace Inversion' Decisions in Economics and Finance 2000 Hart Sergiu 'Adaptive Heuristics' Econometrica 9/05 Haslem Bruce 'Managerial Opportunism during Corporate Litigation' JofF 8/05 Heike David, Akhil Mago 'The ABCs of HELs' Journal of Fixed Income 6/05 Hendershott Terrence, Charles M. Jones 'Island Goes Dark: Transparency, Fragmentation, and Regulation' RFS Fall 2005 Henderson Vicky 'The impact of the market portfolio on the valuation, incentives and optimality of executive stock options' QF 2/05 Henderson Vicky, David Hobson, Sam Howison, et al 'A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation' Review Deriv. Research 6/05 Henry-Labordere Pierre 'Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing' 7/05 <1,2 dim. diffusion, hypergeometric, Heston, 2/3 model, supersymmetry, differential geometry> Hens Thorsten, Stefan Reimann, Bodo Vogt ‘Nash competitive equilibria and twoperiod fund separation’ 6/04 Journal of Mathematical Economics Hermalin Benjamin 'Trends in Corporate Governance' JofF 10/05 Hida Takeyuki 'Some of the recent topics on stochastic analysis' Abel Symposium Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway Higham Desmond, Peter Kloeden 'Numerical methods for nonlinear stochastic differential equations with jumps' Numerische Mathematik 7/05

Hilber Norbert, Ana-Maria Matache, Christoph Schwab 'Sparse wavelet methods for option pricing under stochastic volatility' J. Comp. Finance Summer 05 Hinz Juri, Lutz Von Grafenstein, Michel Verschuere, Martina Wilhelm 'Pricing electricity risk by interest rate methods' QF 2/05 Hirshleifer Jack 'Investment Decisions Under Uncertainity:Choice Theoretic Approaches' in Archer & D'Ambrosio 'Theory of Business Finance:Readings Hobson David, Jeremy Penn 'MAXIMIZING THE PROBABILITY OF A PERFECT HEDGE USING AN IMPERFECTLY CORRELATED INSTRUMENT' IJT&AF 9/05 Holm Darryl, Edriss Titi 'Computatonal Models of Turbulence:The LANS -alpha Model & the Role of Global Analysis' SIAM News 9/05 Holzmann Hajo 'Martingale approximations for continuous-time and discrete-time stationary Markov processes' SP&A in press 2005 Hommes Cars, Joep Sonnemans, Jan Tuinstra, Henk van de Velden 'Coordination of Expectations in Asset Pricing Experiments' RFS Fall 2005 Horstein Andreas, Per Krusell, Giovanni Violante 'Unemployment & Vacancy Fluctuations in the Matching Model:Inspecting the Machanism' FRB Richmond Economic Quarterly Summer 05 Hosten Serkan 'Trends in Optimization' AMS Hou Kewei, Tobias Moskowitz 'Market Frictions, Price Delay, and the Cross-Section of Expected Returns' RFS Fall 2005 Hu Yaozhong 'Rough path analysis via fractional calculus' Abel Symposium Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway Hu Ying, Xun Yu Zhou 'Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection' SIAM J. Control & Opt. 2005 Huang Jian, Jason Abrevaya 'On the Bootstrap of the Maximum Score Estimator' Econometrica 7/05 Hubert Lawerence, Douglas Steinley 'Agreement Among Supreme Court Justices: Categorical vrs. Continuous Representation' SIAM News 9/05 Iksanov A., Z. Jurek, B. Schreiber 'A new factorization property of the selfdecomposable probability measures' 2004 Ann. Probab. 32 , 2 Ilhan Aytac, Mattias Jonsson, Ronnie Sircar 'Optimal investment with derivative securities' F&S 10/05 Illner Reinhard, C. Sean Bohun, Samantha McCollum, Thea van Roode 'Mathematical Modeling:A Case Studies Approach' AMS Ingalls R.G., M.D. Rossetti, J.S. Smith, B.A. Peters 'EFFICIENT PRICING OF BARRIER OPTIONS WITH THE VARIANCE-GAMMA MODEL' ieeexplore.ieee.org Isakov V. 'Inverse Problems for Partial Differential Equations' 2005 Springer Jaimungal S. 'Pricing and Hedging Equity Indexed Annuities with Variance-Gamma Deviates' fisher.utstat.toronto.edu Janicki A., L. Krajna 'Malliavin Calculus in construction of hedging portfolios for the Heston model of a financial variable' Demonstratio Mathematica 2001, 34,2 Jeanblanc Monique, Stoyan Valchev 'PARTIAL INFORMATION AND HAZARD PROCESS' IJT&AF 9/05 Jeffery Christopher 'Credit Model Rethink' RISK 8/05 Jenter Dirk 'Market Timing and Managerial Portfolio Decisions' JofF 8/05 Johnson Gerald W. 'The Feynman integral and Feynman’s operational calculus' Oxford Clarendon Press 2002 Johnstone Iain 'On the distribution of the largest eigenvalue in principal components analysis' Ann. Statist. 2001 Jondeau E., M. Rockinger 'Estimating Gram-Charlier Expansions with Positivity Constraints' wp 1999 Banque de France Jondeau E., M. Rockinger 'Gram-Charlier Densities' JED&C 2001

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